Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0147
Annualized Std Dev 0.1371
Annualized Sharpe (Rf=0%) -0.1070

Row

Daily Return Statistics

Close
Observations 5568.0000
NAs 1.0000
Minimum -0.1596
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0037
Maximum 0.1007
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0086
Skewness -1.2196
Kurtosis 41.5028

Downside Risk

Close
Semi Deviation 0.0064
Gain Deviation 0.0064
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.6053
Historical VaR (95%) -0.0111
Historical ES (95%) -0.0204
Modified VaR (95%) -0.0097
Modified ES (95%) -0.0097
From Trough To Depth Length To Trough Recovery
2004-03-25 2008-12-15 NA -0.6053 4276 1190 NA
1999-01-05 1999-12-28 2004-01-15 -0.2246 1246 244 1002
2004-01-20 2004-02-11 2004-02-20 -0.0306 23 17 6
2004-03-11 2004-03-12 2004-03-23 -0.0190 9 2 7
2004-03-03 2004-03-04 2004-03-10 -0.0159 6 2 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 -0.4 0 0 0.4 0.4 -1.1 0.4 0.4 0.8 -1.3 1.8 1.8
2000 0.4 0 0.9 0.8 0.8 0.4 0 1.2 0 1.2 0.8 1.2 8.1
2001 0.6 0 0.6 0.6 0.4 0.2 -0.1 0.2 1.2 0.8 -0.1 0.5 5
2002 0.4 0.2 0.5 0.9 -0.7 -0.1 1.1 0.2 -0.3 1.3 0.1 1.1 4.9
2003 -0.2 0.3 0.1 -0.4 -0.8 1.1 0.4 0.2 0.2 0.6 0.2 -0.3 1.4
2004 -0.5 0.6 -0.5 0.3 0.4 0.5 0.7 0.4 0.1 0.3 0.1 -0.1 2.3
2005 0.6 0.3 0 0.5 0.3 0.1 0.2 0.6 0.4 -1.2 -0.5 0.5 1.7
2006 0.3 -0.3 0.1 -0.5 0.3 1 0 0 0.1 0.4 0.8 1.1 3.3
2007 0.5 -0.6 0.3 -0.1 0.2 0.3 -0.1 0.6 1.1 -0.1 1.7 0.6 4.4
2008 0.2 -2.1 0.1 0 0 0.6 0.5 0.1 3.5 -0.6 -4.5 -0.3 -2.6
2009 1.4 0.6 0.1 0.7 0 0.8 -0.2 0.1 0.1 0.7 0.1 1.1 5.6
2010 -0.1 0.8 1.1 -0.2 0.5 0.2 -0.9 0 -0.3 0 -0.8 0.8 1.3
2011 0.1 0.7 -0.2 0.7 0.2 0.4 1.7 1.5 0.3 0.3 0 -0.5 5.3
2012 0.8 0 0.4 -0.1 -0.3 0.2 0.8 0 -0.1 0.6 0.2 0.1 2.6
2013 0.5 0 0.1 -0.2 -2.3 0.3 0 -0.7 0.1 -0.9 -0.6 -0.7 -4.4
2014 0.7 -0.3 -0.1 0.4 0 -0.2 0.5 0.7 0.9 0.1 -0.3 0.4 2.7
2015 0.6 -0.2 0.2 -0.7 0.3 0 0.8 0.4 0.1 -0.3 1 0.7 2.9
2016 1.8 -0.5 -0.1 -0.1 1 0.5 -0.4 -0.3 -0.6 0.1 -0.4 0 1
2017 0.1 -0.3 -0.3 0.3 0.6 0.3 0.8 0 0 0.3 0 0.7 2.5
2018 0.1 0.1 0.1 0.4 0.4 -0.3 -0.5 0.2 -0.2 0.2 0.5 0.3 1.3
2019 -0.1 0.4 0.6 0.2 0.2 -0.7 1 -0.2 0.1 -0.1 0.1 0.1 1.7
2020 -0.7 -0.9 -4.1 0.6 -0.2 0 0 0.2 0.4 0.2 -0.4 1.3 -3.7
2021 -0.3 0.8 -0.2 NA NA NA NA NA NA NA NA NA 0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  17.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  17.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  17.7 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  17.6 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  17.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  17.5 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart